Poe emphasizes the feeling of loneliness almost as much as he does the sense of sadness. They're obviously related, too. The speaker of the poem is sad because he's alone. In a way, there's nothing that's lonelier than a dream. We always dream by ourselves, so it's no surprise that the speaker thinks the road to the dream world is lonely.
Their lone waters— lone and dead,— (line 18)
It's a little tough to imagine how water can be lonely. Still, you can sort of picture a cold, isolated ocean, right? That's what we get from this line – an image of a sea that's so barren and cold that it looks like it would be lonely. Of course it's a lot easier to see that when you don't feel that great. Just like the whole world can look sad when you are sad, it's pretty easy to make even an ocean look lonely when you feel alone. Our speaker looks out at the world, and sees a version of what's happening in his head.
Shrouded forms that start and sigh As they pass the wanderer by— (lines 35-6)
These are the ghosts of the dead, and even though they are sort of like characters in the poem, we never find out who they are or hear them speak. In the end, all the phantoms, ghouls and other critters in the poem just pass through, and leave the speaker alone and lonely.
White—robed forms of friends long given, (line 37)
This is the root of the speaker's loneliness. Death has cut him off from the people he loves. His grief has completely taken him over, and made him feel friendless, loveless, and alone. Seeing these ghosts makes him feel better for a second, but in the end, he's alone for good. Pretty grim, we know.